"Immediately seek shelter in a safe place, take care of your close ones, await new recommendations," a message sent to people in the country's capital read.
Vilnius airport closed on Wednesday after a drone warning was issued across parts of the country.
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Lithuania's defence ministry said an air alert had been issued and NATO Baltic Air Policing had been activated after a suspected drone had been detected approaching from Belarus near to the border.
"Immediately seek shelter in a safe place, take care of your close ones, await new recommendations," a message sent to people in the country's capital read.
Latvia also issued a warning on Wednesday morning to residents in the eastern areas of Ludza, Krāslava and Rēzekne over what it said was a "possible threat" to its airspace.
"Seek shelter indoors, close windows and doors - follow the two-wall principle," the Latvian National Armed Forces (NBS) said in a statement. "If you notice a low-flying, suspicious, or dangerous object, do not approach it and call 112."
The NBS later said the threat had ended.
It comes after a Romanian F-16 fighter jet shot down a stray Ukrainian drone over Estonia on Tuesday.
Following the incident, Estonian foreign minister Margus Tsahkna said the operation to intercept the drone had proved NATO defences worked.
"Romanian F-16s responded immediately from Šiauliai, demonstrating that Allies stand united and ready to defend every inch of NATO territory," he wrote on X.